Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance
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DOI: 10.1007/s40065-020-00287-w
Abstract: The exponential timestepping Euler algorithm with a boundary test is adapted to simulate an expected of a function of exit time, such as the expected payoff of barrier options under the constant elasticity of variance… read more here.
Keywords: finance; exit time; control variate; exponential timestepping ... See more keywords
Extracting Non-Gaussian Governing Laws from Data on Mean Exit Time
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DOI: 10.1063/5.0018812
Abstract: Motivated by the existing difficulties in establishing mathematical models and in observing state time series for some complex systems, especially for those driven by non-Gaussian Lévy motion, we devise a method for extracting non-Gaussian governing… read more here.
Keywords: extracting non; non gaussian; time; exit time ... See more keywords
Mean exit time in irregularly-shaped annular and composite disc domains
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DOI: 10.1088/1751-8121/ac4a1d
Abstract: Calculating the mean exit time (MET) for models of diffusion is a classical problem in statistical physics, with various applications in biophysics, economics and heat and mass transfer. While many exact results for MET are… read more here.
Keywords: mean exit; diffusion; exit time; physics ... See more keywords
A short note on the mean exit time of the Brownian motion
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DOI: 10.1142/s0219887817501730
Abstract: We investigate the functional Ω↦ℰ(Ω) where Ω runs through the set of compact domains of fixed volume v in any Riemannian manifold (M,g) and where ℰ(Ω) is the mean exit time from Ω of the… read more here.
Keywords: time brownian; mean exit; exit time; brownian motion ... See more keywords